2 Answers
2

In the Movies

Movie representations of characters are often poorly rendered versions of the comic characters and such oversights are common. Since the clothing the Sandman was wearing likely had buttons, zippers and other metallic parts, they were certainly transformed by movie "logic" so there is no reason the necklace wasn't except it didn't occur to anyone to "explain" why it didn't. In movies, such exposition is the first thing to hit the cutting room floor.

Quick and dirty explanations include:

Purity of the material, perhaps its chemical composition protected it from the transformation, silver or gold tend to be relatively inert.

Perhaps the material of the necklace included a series of chemicals not commonly found in organic organisms, so Marko and his clothing might be transformed (organic clothing, iron zippers) because their chemical compositions can be found in the body but silver or gold are found as a part of the human body only as microscopically available trace elements.

In the Comics

In the comics version of Flint Marko, aka, the Sandman, he is always naked. What you see as a costume, his striped shirt and cargo pants are constructs made of colored sand. Think of it as a physical representation or "default" setting of how Flint Marko sees himself mentally.

Sandman has the ability to transform his body. He can will his body hardened, compacted, dispersed or shaped, or a combination of those qualities, an Earth manipulation of sand and rock particles. More often than not in combat, this ability enables him to absorb most blows with little to no ill effect other than reforming himself, a relatively fast action. His striped shirt and cargo pants are colored sand to make him appear as if he wears clothes. Even when soaked, he was able to stretch his sand molecules, growing to double his size. See: Wikipedia - Sandman (Marvel Comics)

You notice when he takes on forms larger than his normal self he loses the visual representations of his clothing indicating it is likely a psychological limitation rather than a physical one. Anything Marko appears to be wearing is just that, an appearance.

Could he wear clothing? Certainly. And likely being a wanted man would necessitate wearing other clothing if you couldn't change your default appearance. Be he would likely ooze right out of those clothes at the first sign of trouble.

Maybe the metallic parts of his clothing didn't transform, did anyone sift through the sand left behind looking for them?
– William B SwiftSep 10 '12 at 21:38

An excellent point. No one did check to see if any of the metallic bit were just lost in the remaining sand... Maybe he kept up with the necklace because it would have been immediately visible AND important to him, so he would pick it up without giving it much thought.
– Thaddeus Howze♦Sep 10 '12 at 21:45

Great answer. This is a movie, after all (and not the greatest one, at that). Drama and poetic licence often trump logic and realism.
– Arachno-SapienJan 1 '14 at 4:18

There's no indication that anything but Sandman and the locket remained after his transformation.

You can see from this snapshot that his clothes are being transformed to sand, but it's too big of an assumption to say that anything other than his clothes (and body, obviously) were transformed. I'd say the only organic matter that remained was Sandman himself by his sheer force of will. We only see his organic molecules transform into living silica. The scientists only mention molecules, but this wouldn't necessarily count metals which are distinct by being a collection of Ions and Electrons.

A molecule is an electrically neutral group of two or more atoms held together by covalent chemical bonds.

The remaining metal may have been small enough not to be seen once he has transformed, hidden by the extra 'sand' added or simply tossed to the side in the ensuing mini-sandstorm.

Regardless, he doesn't have an emotional attachment to his zipper or buttons. It's clear metal wasn't transformed.

In the original comics, it appears he never full transformed, and only slowly learned his 'affinity' for sand.